I'm with you in that I have no idea how it's made either, although here's a quote from the Exxon/Mobil website indicating that crude oil is used in synthetic oil development:

"Both types of engine oil are made from crude oil that comes from the ground. The difference is that synthetic oils undergo numerous additional highly-advanced distilling, refining, and purification processes — and therefore are of a higher purity and quality than conventional mineral oils. This not only removes more impurities from the original crude, it also enables the engineering of the lubricant’s individual molecules to be uniform and consistent, tailored to meet the specific high-performance demands of modern engines. These customized molecules provide higher levels of protection and performance, even in extreme conditions"